When I tell people about how eager Microsoft is for product feedback and bug reports, they usually roll their eyes and say "Yeah, right!". But I'm serious. I've worked with a lot of database platforms, not to mention other sorts of software, and no one has been more genuinely interested in getting word straight from the customer's mouth. Now, on top of that, Microsoft also makes a serious effort to make such reporting easy for you.
You can make suggestions and report bugs on the latest builds of SQL Server 2005 and a wide variety of other technologies by going to the MSDN Product Feedback Center at http://lab.msdn.microsoft.com/ProductFeedback/. When you log suggestions and bugs at the MPFC, you will be communicating directly with the Microsoft development teams. You can collaborate with Microsoft developers, MVPs (yes, we hang out there too), and beta testers to identify problems and workarounds.
On top of that, it is easy to track feedback online and see what response(s) you get. You also get notifications of changes and fixes to the bugs and suggestions that you make. Very cool in my opinion!
(Oh, and if you ever used the old SQLWISH facility to suggest a new feature or requirment for SQL Server, you'll have to change your ways. SQLWish is going away, if not already gone. You'll need to use the MPFC all of the time now.)